Error Ranking System Performance

geov · December 30, 2019, 4:28pm

There is an error in the calculation of performance by rank.

I have a ranking system “Seasonal Sectors 4”.
When starting date is 1/1/2004 there is an abnormally high performance for rank 25-30.

When starting date is one week later on 1/7/2004 the spike disappears and the performance by rank looks correct. See attached screen shots.

This problem is not confined to this ranking system. P123 “Core Combination” has the same problem, except it is for the 15-20 rank position.

Performance ranking from 1-1-2004 to 12-30-2019.png

Performance ranking from 1-7-2004 to 12-30-2019.png

marco · December 30, 2019, 5:27pm

What are the other settings ? Universe ? Min Price ?

geov · December 30, 2019, 5:45pm

You can test this with P123 “Core Combination” ranking system. Same problem starting 1/1/2004, but problem disappears when starting date is 1/7/2004. That is for 2-week rebal.

Problem never goes away when rebal = weekly.

geov · December 30, 2019, 6:09pm

Here is Core Combination for last 3 years.
Weekly rebal.

Rank bucket 15-20 shows annualized return of 60% plus.

marco · December 30, 2019, 6:18pm

There’s bad prices 0.01 for AMBO on 7/24/17 and 7/25/17

Try excluding it from your universe.

We reported to S&P. They usually fix this quickly

Thanks